Study On Bank Asset And Liability Management In The Moderately Tight Monetary Policy

Excessive liquidity is the most urgent macroeconomic problem in China. Because of the increasing rapidly of the economy, the enlargement of the trade surpluse and the anticipation of RMB appreciation, excessive liquidity will be exist for a long time. The people's bank of China is going to use a combination of monetary policy tools to control excessive liquidity in future. And in the 2007 China Economic Conference, the report says the government will use the moderately tight monetary policy. The change of the monetary policy must affect the bank of asset liability management. However, in China the asset liability management is lower than the foreign bank's.As a result of economic fluctuation, the banks reply on the asset liability management to add benefits and become more competitive more than before.With the uncertainty of the deposit flow, the fund cost and the investment benefits, we use the stochastic programming with simple recourse to research into bank's asset liabiliy management and give a model for bank's asset liability management, which add the VaR stochastic chance constraints of liquidity risk. Take Pudong Development Bank as the object of research..The research indicates the model can control the risk, optimize the portfolio and increase the benefits.This essay is composed of six chapters.The first chapter is an introduction, which introduces the study background, the significance of the study and reviews the related articles. The second summarizes the theory of asset liability management. The third chapter explains the bank's asset liability management of the moderately tight monetary policy. The forth chapter is the stochastic programming model with simple recourse for bank's asset liability management. It also introduce the the VaR stochastic chance constraints of liquidity risk and the scenario generation. The fifth part is the application research of the stochastic programming model for bank's asset liability management,which applies for the Shanghai Pudong Development Bank. The last part is the conclusion.